Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2022.2142639
The effect of US economic policy uncertainty on market risk of international crude oil and the portfolio strategy
Yu Zhao
Jichan Zhu
Sažetak
The paper investigates the impact of US economic policy uncertainty
(EPU) on major crude oil markets. GARCH-tDDC-Copula
model is constructed to study the spillover effect of US EPU on
the international crude oil market risk, and then the median-
CoVaR portfolio model is constructed to discuss the optimal portfolio
strategy of crude oil importers when US EPU is in different
states. Results show that the spillover effect of US EPU on international
crude oil market risk is nonlinear, asymmetric and timevarying.
When US EPU increases from the average level to the
0.95 quantile level, the price reduction risk of crude oil market in
Brent, Dubai and Western Texas increases by 37.26%, 42.66%, and
39.28% respectively, and the price increase risk increases by
7.22%, 6.64%, and 7.53% respectively. Compared with the
median-VaR portfolio strategy and the equal-weight combination
portfolio strategy, the advantage of the median-CoVaR model is
that it can achieve ‘targeted’ management for asset risk under
specific conditions. When US EPU peak occurs, crude oil importers
can formulate a basket price strategies with dynamic weighted
based on the median-CoVaR model, which can better reduce the
depreciation risk of crude oil assets. The findings have important
implications for importers and investors.
Ključne riječi
Oil resources; market risk; portfolio strategy; GARCHtDCC- Copula; median- CoVaR model
Hrčak ID:
306777
URI
Datum izdavanja:
30.4.2023.
Posjeta: 147 *